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Post-LIBOR Settle Update: Nov 75bp Hike Holds Steady

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) holds gain of +0.015 at 94.92 after latest 3M LIBOR set' resumes climb to new 14 year high: +0.01586 to 4.37386% (+0.01543/wk).

  • A 75bp hike at Nov FOMC remains a lock, while pricing another 75bp in Dec continues to ease w/ balance of Whites (EDH3-EDU3) trade +0.010-0.015, Reds through Blues (EDZ3-EDU6) +0.020-0.030, Golds (EDZ6-EDU7) +0.025-0.040.
  • Current inversions: Mar'23/Jun'23 -0.055; Dec'22/Red Dec'23 at -0.310, Mar'23/Red Mar'24 at -0.650. Inversion flattens out in Blue Dec'25-Blue Mar'26 trading 96.120.
  • Option positioning: Volumes receded later Tuesday but tone remained bullish amid delta call buyers, put unwinds as underlying futures held narrow range near midmorning highs through the second half - last week's 75bp hike expectations for Dec continue to cool.

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